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The Causality between Financial Instability and Monetary Policy Uncertainty : Who Predicts Whom?
Yan, Meng - 2020
By employing the bootstrap full-sample Granger causality test and sub-sample rolling window causality test, this paper attempts to disentangle the causal nexus between financial instability and monetary policy uncertainty in the US, Japan, and Greece. The bootstrap full sample causality test...
Persistent link: https://www.econbiz.de/10012843463
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The real-time predictive content of asset price bubbles for macro forecasts
Beckers, Benjamin - 2015
price bubbles. Against this background, the paper evaluates if new advances in real-time bubble detection, as brought … to account for the uncertainty around start and end dates of asset price bubbles. Additionally, the paper then … common stock and house price bubbles in the U.S. and shows that this indicator improves output forecasts. …
Persistent link: https://www.econbiz.de/10011300629
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Policy Analysis and Forecasting in the World Economy : A Panel Unobserved Components Approach
Vitek, Francis - 2012
This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model features a monetary transmission mechanism, a fiscal transmission mechanism, and extensive macrofinancial linkages, both within...
Persistent link: https://www.econbiz.de/10013102206
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Does Real-Time Macroeconomic Information Help to Predict Interest Rates?
Coroneo, Laura - 2020
We analyse the predictive ability of real-time macroeconomic information for the yield curve of interest rates. We specify a mixed-frequency macro-yields model in real-time that incorporates interest rate surveys and treats macroeconomic factors as unobservable components. Results indicate that...
Persistent link: https://www.econbiz.de/10012836955
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Policy and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach
Vitek, Francis - 2014
This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover...
Persistent link: https://www.econbiz.de/10013040410
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Monetary policy interdependency in fisher effect : a comparative evidence
Shobande, Olatunji Abdul; Shodipe, Oladimeji Tomiwa - In: Journal of central banking theory and practice 10 (2021) 1, pp. 203-226
In this paper, we examine the ability of Fisher effect to describe the subjective behaviour of monetary policy responses for nations constrained by global factors. We developed and estimated a simple DSGE model for appraising the consequence of an integrated financial market predictor on...
Persistent link: https://www.econbiz.de/10012549169
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The Accuracy of a Forecast Targeting Central Bank
Falch, Nina Skrove - 2011
This paper evaluates inflation forecasts made by Norges Bank which is a successful forecast targeting central bank. It is expected that Norges Bank produces inflation forecasts that are on average better than other forecasts, both naive forecasts, and forecasts from econometric models outside...
Persistent link: https://www.econbiz.de/10013210321
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Policy Analysis and Forecasting in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach
Vitek, Francis - 2014
This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model encompasses an approximate linear panel dynamic stochastic general equilibrium model featuring a monetary transmission...
Persistent link: https://www.econbiz.de/10013060545
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The Accuracy of a Forecast Targeting Central Bank
Falch, Nina Skrove - 2011
This paper evaluates inflation forecasts made by Norges Bank which is recognized as a successful forecast targeting central bank. It is reasonable to expect that Norges Bank produces inflation forecasts that are on average better than other forecasts, both 'naïve' forecasts, and forecasts...
Persistent link: https://www.econbiz.de/10013126912
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Does the Yield Spread Predict Recessions in the Euro Area?
Moneta, Fabio - 2006
This paper studies the informational content of the slope of the yield curve as a predictor of recessions in the euro area. In particular, the historical predictive power of ten yield spreads, for different segments of the yield curve, is tested using a probit model. The yield spread between the...
Persistent link: https://www.econbiz.de/10014073820